FxWirePro: Low vol plus flat curve in sync with buying EUR/USD forward vols
Jun 14, 2017 12:07 pm UTC| Research & Analysis Insights & Views
After the French presidential election, the EURUSD volatility curve aggressively sold off, reaching its lowest level since 2014. Since then, implied vols have bounced only very timidly and are still very close to their...
FxWirePro: Chinese flow of investments slowdown, Is volatility underpricing China tail risks?
Jun 14, 2017 11:02 am UTC| Research & Analysis Insights & Views
As expected by us, Chinas investment growth slowed. Latest data showed that Chinas fixed asset investment grew 8.6% YoY year-to-date in May, below market expectations and previous reading at 8.9%. After seasonal...
FxWirePro: Favor EUR/USD top end range with “European knock in options”
Jun 14, 2017 08:27 am UTC| Research & Analysis Insights & Views
EURUSD has traded between about 1.05 and 1.16 since 2015. While these bounds are pretty wide, this has been the longest period deprived of trends since the introduction of the single currency (refer above graph). EURUSD...
FxWirePro: What matters for choppy euro appreciation? RVs, IVs and skews to bid for OTM call strikes
Jun 14, 2017 08:10 am UTC| Research & Analysis Insights & Views
As the FX markets focus returns to monetary policy, its relationship with interest rates will become more prominent. The last time that FX vol was durably in a low regime coincided with a period when central bank policies...
FxWirePro: Bullish and bearish scenarios, OTC indications and hedging solutions of USD/JPY
Jun 14, 2017 07:26 am UTC| Research & Analysis Insights & Views
Bearish: USD/JPY to 125 if 1) The strong US growth leads aggressive Fed hikes and a spike in UST yields, resulting in broad USD strength, 2) The Japanese governments fiscal policy becomes more expansionary and the...
FxWirePro: Why do Loonie seem vulnerable? Cover USD/CAD exposure risks with covered call strategy
Jun 13, 2017 13:10 pm UTC| Research & Analysis Insights & Views
Last Friday, the front end of the Canadian rates market priced a 30% chance that rates would go up this year. One speech from BOC Senior Deputy-Governor Carolyn Wilkins later, and pricing is over 50%. She cited broadening...
FxWirePro: Strategic derivatives trades in global equities and FX space in H2’2017
Jun 13, 2017 12:54 pm UTC| Research & Analysis Insights & Views
In the US, despite the good economic backdrop, equity volatility has moved into oversold territory, and we illustrate this with a number of examples including an analysis of the business cycle. We advise caution in the...
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